What is the difference between "Shader" and "Material"?
Answer from Brecht Van Lommel:


  In Blender terminology material, light and world are datablocks that
  contain two things:
  
  
  Shaders to describe the look.
  Settings to control the quality.
  
  
  Shaders can be mixed, grouped, and shared between datablocks.
  
  The reason it’s not called the material editor is because you can also
  edit world, light and freestyle shaders there.


So materials define how object looks like, and have some additional material-specific settings. Shaders define object materials and also lights, world and freestyle as a part of each data-block.